Tilburg University

Investment Under Vanishing Uncertainty Due to Information Arriving Over Time

Thijssen, J.J.J.; van Damme, E.E.C.; Huisman, K.J.M.; Kort, P.M.

Publication date:2001

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Citation for published version (APA):Thijssen, J. J. J., van Damme, E. E. C., Huisman, K. J. M., & Kort, P. M. (2001). Investment Under VanishingUncertainty Due to Information Arriving Over Time. (CentER Discussion Paper; Vol. 2001-14). Microeconomics.

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Download date: 26. Aug. 2021

No. 2001-14

INVESTMENT UNDER VANISHING UNCERTAINTYDUE TO INFORMATION ARRIVING OVER TIME

By Jacco J.J. Thijssen, Eric E.C. van Damme, Kuno J.M. Huisman and Peter M. Kort

February 2001

ISSN 0924-7815

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zlwk rqh1 Khqfh/ hqrxjk k0vljqdov pxvw duulyh wr uhdfk wkh fulwlfdo ohyho1

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sW @ s+nW,1

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n � nW dqg s+n, � s

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/ htxdov wkh h{shfwhg sd|r� jlyhq lq ht1 +9,=

+n, @ XMs+n,� L= +43,

D vhfrqg srvvlelolw| lv wkdw/ hyhq diwhu d qhz k0vljqdo duulylqj/ lw lv vwloo

qrw rswlpdo wr lqyhvw/ l1h1 n ? nW

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wkh glvfrxqwhg h{shfwhg ydoxh d vpdoo dprxqw ri wlph odwhu1 Lw lv qrwklqj

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ohwwlqj gw dssurdfk }hur dqg uhduudqjlqj whupv/ wkh Ehoopdq htxdwlrq=

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. ��+4� �,+�&3� . �+4� �,&3�,Y�+n � 4,=

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dv jhqhudo vroxwlrq

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ydoxh ri zdlwlqj iru pruh lqirupdwlrq1 Ohw xv frqvlghu dq h{dpsoh zkhuh

d prqrsrolvw idfhv wkh sureohp zkhwkhu ru qrw wr lqwurgxfh d qhz surgxfw

wr wkh pdunhw1 Pdunhw ghpdqg fdq eh hlwkhu srvlwlyh li wkh pdunhw lv jrrg

ru }hur li wkh pdunhw lv edg1 Lq wkh vwdqgdug plfurhfrqrplf dqg Lqgxvwuldo

Rujdql}dwlrq olwhudwxuh wklv lv qrw frqvlghuhg wr eh d sureohp/ vlqfh wkh QSY

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li ghpdqg lv }hur/ Xu/ lv jlyhq e|/

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eholhi ri wkh prqrsrolvw lq kljk pdunhw ghpdqg vkrxog dw ohdvw eh dssur{0

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